FRTB Accelerator Cube GuideGIRR Vega Risk Position Correlations
| Description | The correlation parameter between vega sensitivities within the same bucket, under the 'Medium correlations' scenario |
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| Variations |
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| Notation | $rho_kl MediumCorr$ |
Correlation parameter $\rho_{kl}$ between vega sensitivities within the same bucket (‘medium’ correlation scenario).
The measure requires having hierarchy(ies) in the view: [Double Sums].[GIRR Vega Double Sums], [Buckets].[GIRR Buckets].
See also
- GIRR Vega Weighted Sensitivities
- GIRR Vega Risk Position Double Sums
- GIRR Vega Sensitivities
- GIRR Vega Risk Charge
- GIRR Vega Risk Weight
- GIRR Vega Risk Position